Accurate Evaluation of European and American Options Under the CGMY Process

DOI10.1137/050637613zbMath1151.91473OpenAlexW2155151872MaRDI QIDQ5444244

Ariel Almendral, Cornelis W. Oosterlee

Publication date: 25 February 2008

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: http://resolver.tudelft.nl/uuid:8c253c51-1ed0-4121-8dfc-a04bd4bd6a82

zbMATH Keywords

collocation methodoption pricingpartial integro-differential equations

Mathematics Subject Classification ID

Numerical methods for integral equations (65R20) Integro-partial differential equations (45K05) Volterra integral equations (45D05)

Related Items (24)

Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions ⋮ Valuation of American options under the CGMY model ⋮ Singular Fourier–Padé series expansion of European option prices ⋮ A fast preconditioned penalty method for American options pricing under regime-switching tempered fractional diffusion models ⋮ Water wave propagation in unbounded domains. II: Numerical methods for fractional PDEs ⋮ A fast preconditioned policy iteration method for solving the tempered fractional HJB equation governing American options valuation ⋮ A Radial Basis Function Scheme for Option Pricing in Exponential Lévy Models ⋮ Optimal exercise boundary via intermediate function with jump risk ⋮ A de-singularized meshfree approach to default probability estimation under a regime-switching synchronous-jump tempered stable Lévy model ⋮ Double discretization difference schemes for partial integrodifferential option pricing jump diffusion models ⋮ The Kolmogorov forward fractional partial differential equation for the CGMY-process with applications in option pricing ⋮ SMOOTH UPPER BOUNDS FOR THE PRICE FUNCTION OF AMERICAN STYLE OPTIONS ⋮ A comparison of iterated optimal stopping and local policy iteration for American options under regime switching ⋮ First steps towards an equilibrium theory for Lévy financial markets ⋮ Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme ⋮ A Fast Finite Difference Method for Tempered Fractional Diffusion Equations ⋮ Unconditional positive stable numerical solution of partial integrodifferential option pricing problems ⋮ An explicit closed-form analytical solution for European options under the CGMY model ⋮ A posteriori error analysis for a class of integral equations and variational inequalities ⋮ Positive solutions of European option pricing with CGMY process models using double discretization difference schemes ⋮ A High Order Finite Difference Method for Tempered Fractional Diffusion Equations with Applications to the CGMY Model ⋮ Barycentric spectral domain decomposition methods for valuing a class of infinite activity Lévy models ⋮ Optimal demand in a mispriced asymmetric Carr-Geman-Madan-Yor (CGMY) economy ⋮ An approach for solving perpetual optimal stopping problems driven by Lévy processes

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